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An Automatic Code Generator for Nonuniform Random Variate Generation

Leydold, Josef and Derflinger, Gerhard and Tirler, Günter and Hörmann, Wolfgang (2001) An Automatic Code Generator for Nonuniform Random Variate Generation. Preprint Series / Department of Applied Statistics and Data Processing, 42. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

There exists a vast literature on nonuniform random variate generators. Most of these generators are especially designed for a particular distribution. However in pratice only a few of these are available to practioners. Moreover for problems as (e.g.) sampling from the truncated normal distribution or sampling from fairly uncommon distributions there are often no algorithms available. In the last decade so called universal methods have been developed for these cases. The resulting algorithms are fast and have properties that make them attractive even for standard distributions. In this contribution we describe the concept of Automatic random variate generation where these methods are used to produce a single piece of code in a high level programming language. Using a web-based front-end to such a program this is an easy-to-use source for researchers and programmers for high quality generators for a large class of distributions. Using our UNURAN library we have implemented such a system, which is accessable at <a href="http://statistik.wu-wien.ac.at/anuran" target="_blank">http://statistik.wu-wien.ac.at/anuran</a>. (author's abstract)

Item Type: Paper
Additional Information: published in: Mathematics and Computers in Simulation 62(3-6), pp. 405-412, 2003
Keywords: nonuniform random variate generation / universal algorithm / automatic code generator / transformed density rejection / continuous distribution
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:47
Last Modified: 12 May 2012 19:27
URI: http://epub.wu.ac.at/id/eprint/364

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